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Details about Felix Chan

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Workplace:School of Accounting, Economics and Finance, Faculty of Business and Law, Curtin University, (more information at EDIRC)

Access statistics for papers by Felix Chan.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pch631


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Working Papers

2019

  1. Equivalence of optimal forecast combinations under affine constraints
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads
  2. Modelling with Discretized Ordered Choice Covariates
    CEU Working Papers, Department of Economics, Central European University Downloads

2018

  1. Even Count Estimation
    CEU Working Papers, Department of Economics, Central European University Downloads
    See also Journal Article Event count estimation, Econometric Reviews, Taylor & Francis Journals (2022) Downloads (2022)

2017

  1. A note on the relation between fiscal equalization and economic growth
    MPRA Paper, University Library of Munich, Germany Downloads

2014

  1. Gravity Models of Trade: Unobserved Heterogeneity and Endogeneity
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics Downloads View citations (1)

2013

  1. Advantages of Non-Normality in Testing Cointegration Rank
    Bankwest Curtin Economics Centre Working Paper series, Bankwest Curtin Economics Centre (BCEC), Curtin Business School Downloads
  2. Modeling and Simulation: An Overview
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) Downloads View citations (2)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2013) Downloads View citations (19)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads

2011

  1. Structure and Asymptotic theory for Nonlinear Models with GARCH Errors
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (1)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads

    See also Journal Article Structure and asymptotic theory for nonlinear models with GARCH erros, Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] (2015) Downloads View citations (2) (2015)

2009

  1. It Pays to Violate: How Effective are the Basel Accord Penalties?
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads

2008

  1. Stability Tests for Heterogeneous Panel Data
    Working Papers, Hong Kong Institute for Monetary Research Downloads View citations (3)
    Also in Working Papers, HAL (2006) Downloads
    IHEID Working Papers, Economics Section, The Graduate Institute of International Studies (2006) Downloads View citations (1)
    PSE Working Papers, HAL (2006) Downloads View citations (1)

2005

  1. Structure and asymptotic theory for STAR(1)-GARCH(1,1) models
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads

2003

  1. Modelling the Asymmetric Volatility of Electronics Patents in the USA
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    See also Journal Article Modelling the asymmetric volatility of electronics patents in the USA, Mathematics and Computers in Simulation (MATCOM), Elsevier (2004) Downloads View citations (1) (2004)
  2. On the Structure, Asymptotic Theory and Applications of STAR-GARCH Models
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (1)
  3. Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (8)

2001

  1. Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads View citations (2)
    See also Journal Article Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers, Applied Financial Economics, Taylor & Francis Journals (2003) Downloads View citations (29) (2003)

Journal Articles

2023

  1. A pulse check on recent developments in time series econometrics
    Journal of Economic Surveys, 2023, 37, (1), 3-6 Downloads
  2. Modeling time‐varying higher‐order conditional moments: A survey
    Journal of Economic Surveys, 2023, 37, (1), 33-57 Downloads

2022

  1. Event count estimation
    Econometric Reviews, 2022, 41, (2), 147-176 Downloads
    See also Working Paper Even Count Estimation, CEU Working Papers (2018) Downloads (2018)

2021

  1. A review of Ride-Matching strategies for Ridesourcing and other similar services
    Transport Reviews, 2021, 41, (5), 578-599 Downloads

2018

  1. Some theoretical results on forecast combinations
    International Journal of Forecasting, 2018, 34, (1), 64-74 Downloads View citations (22)

2017

  1. Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies?
    Journal of Asian Economics, 2017, 50, (C), 62-72 Downloads View citations (2)
  2. The Validity of Investor Sentiment Proxies
    International Review of Finance, 2017, 17, (3), 473-477 Downloads View citations (7)

2016

  1. Liquidation discount—a novel application of ARFIMA–GARCH
    Journal of Empirical Finance, 2016, 36, (C), 151-161 Downloads

2015

  1. Permanent and transitory shocks in the presence of asymmetric error correction
    Applied Economics, 2015, 47, (25), 2642-2648 Downloads
  2. Structure and asymptotic theory for nonlinear models with GARCH erros
    Economia, 2015, 16, (1), 1_21 Downloads View citations (2)
    See also Working Paper Structure and Asymptotic theory for Nonlinear Models with GARCH Errors, Econometric Institute Research Papers (2011) Downloads (2011)

2013

  1. The impact of serial correlation on testing for structural change in binary choice model: Monte Carlo evidence
    Mathematics and Computers in Simulation (MATCOM), 2013, 93, (C), 175-189 Downloads View citations (4)

2012

  1. It pays to violate: how effective are the Basel accord penalties in encouraging risk management?
    Accounting and Finance, 2012, 52, (1), 95-116 Downloads View citations (4)
  2. Testing for Structural Change in Heterogeneous Panels with an Application to the Euro's Trade Effect
    Journal of Time Series Econometrics, 2012, 4, (2), 1-35 Downloads View citations (12)

2011

  1. An econometric analysis of hotel–motel room nights in New Zealand with stochastic seasonality
    International Journal of Revenue Management, 2011, 5, (1), 63-83 Downloads
  2. Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation
    Mathematics and Computers in Simulation (MATCOM), 2011, 81, (7), 1385-1396 Downloads View citations (17)
  3. Model specification in panel data unit root tests with an unknown break
    Mathematics and Computers in Simulation (MATCOM), 2011, 81, (7), 1299-1309 Downloads View citations (5)
  4. Spectral analysis of seasonality in tourism demand
    Mathematics and Computers in Simulation (MATCOM), 2011, 81, (7), 1409-1418 Downloads View citations (10)

2009

  1. Modeling Volatility in Foreign Currency Option Pricing
    Multinational Finance Journal, 2009, 13, (3-4), 189-208 Downloads View citations (2)
  2. Modelling time-varying higher moments with maximum entropy density
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (9), 2767-2778 Downloads View citations (4)
  3. Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
    Econometric Reviews, 2009, 28, (5), 422-440 Downloads View citations (236)

2008

  1. Efficiency of the foreign currency options market
    Global Finance Journal, 2008, 19, (2), 157-170 Downloads View citations (3)
  2. Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares
    Pacific-Basin Finance Journal, 2008, 16, (4), 453-475 Downloads View citations (7)
  3. Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks
    Journal of Econometrics, 2008, 147, (1), 163-185 Downloads View citations (32)
  4. GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
    Econometric Theory, 2008, 24, (6), 1554-1583 Downloads View citations (164)
  5. Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk
    Mathematics and Computers in Simulation (MATCOM), 2008, 78, (2), 155-171 Downloads View citations (10)

2007

  1. An econometric analysis of asymmetric volatility: Theory and application to patents
    Journal of Econometrics, 2007, 139, (2), 259-284 Downloads View citations (225)

2005

  1. Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations
    Mathematics and Computers in Simulation (MATCOM), 2005, 69, (1), 46-56 Downloads View citations (1)

2004

  1. Modelling the asymmetric volatility of anti-pollution patents in the USA
    Scientometrics, 2004, 59, (2), 179-197 Downloads View citations (1)
  2. Modelling the asymmetric volatility of electronics patents in the USA
    Mathematics and Computers in Simulation (MATCOM), 2004, 64, (1), 169-184 Downloads View citations (1)
    See also Working Paper Modelling the Asymmetric Volatility of Electronics Patents in the USA, CIRJE F-Series (2003) Downloads (2003)
  3. Trends and volatilities in foreign patents registered in the USA
    Applied Economics, 2004, 36, (6), 585-592 Downloads View citations (3)

2003

  1. Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers
    Applied Financial Economics, 2003, 13, (8), 581-592 Downloads View citations (29)
    See also Working Paper Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers, ISER Discussion Paper (2001) Downloads View citations (2) (2001)

2002

  1. Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence
    Journal of Applied Econometrics, 2002, 17, (5), 509-534 Downloads View citations (46)

Edited books

2022

  1. Econometrics with Machine Learning
    Advanced Studies in Theoretical and Applied Econometrics, Springer View citations (3)

Chapters

2022

  1. Linear Econometric Models with Machine Learning
    Springer View citations (2)
  2. Nonlinear Econometric Models with Machine Learning
    Springer View citations (2)
 
Page updated 2024-05-23